A Membership is a private area you created that members who signup to one or more of your courses can gain access to.
For example: If you create a membership and a new student joins your membership. They will then receive login information to gain access to your membership. Depending on which course they purchased they'll then see that course or all of the courses they've purchased within your membership available within their customer dashboard.
To find out what the difference is between a membership and courses you can go here.